Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1455 |
| Annualized Std Dev | 0.1941 |
| Annualized Sharpe (Rf=0%) | -0.7493 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2986.0000 |
| NAs | 1.0000 |
| Minimum | -0.0790 |
| Quartile 1 | -0.0076 |
| Median | -0.0010 |
| Arithmetic Mean | -0.0005 |
| Geometric Mean | -0.0006 |
| Quartile 3 | 0.0066 |
| Maximum | 0.0663 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0010 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | 0.0514 |
| Kurtosis | 2.4985 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0085 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.9036 |
| Historical VaR (95%) | -0.0196 |
| Historical ES (95%) | -0.0273 |
| Modified VaR (95%) | -0.0199 |
| Modified ES (95%) | -0.0283 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-06-11 | 2020-08-04 | NA | -0.9036 | 2950 | 2792 | NA |
| 2009-05-28 | 2009-05-29 | 2009-06-05 | -0.0613 | 7 | 2 | 5 |
| 2009-05-08 | 2009-05-13 | 2009-05-21 | -0.0468 | 9 | 4 | 5 |
| 2009-04-20 | 2009-04-20 | 2009-04-22 | -0.0233 | 3 | 1 | 2 |
| 2009-04-27 | 2009-04-27 | 2009-04-29 | -0.0193 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | 1.2 | 5.7 | 0.5 | -3.3 | -0.7 | -2.6 | -2.1 | 2 | 1.5 | 1.9 |
| 2010 | 1 | 0 | 0.9 | -1.9 | -0.8 | -0.1 | -2.5 | 2.7 | -0.3 | 0.4 | 3.7 | -1.9 | 1.1 |
| 2011 | 1.3 | -0.3 | -0.5 | -0.7 | -2.6 | 0.7 | -1.1 | -2.4 | -1.8 | -3.7 | -0.1 | -0.7 | -11.3 |
| 2012 | 0.8 | 1.1 | 1.3 | 0.5 | -2.5 | 1.3 | 0.6 | -1.6 | -0.5 | 0.5 | -0.1 | 1.5 | 2.8 |
| 2013 | 0.8 | -0.7 | -0.6 | -0.9 | 0.7 | -0.5 | 2.8 | 0.5 | 0.4 | 1.6 | 0.3 | 1.3 | 5.8 |
| 2014 | -1 | 0.2 | 0.7 | -0.9 | 0.4 | 0.8 | -1.9 | -0.1 | -2.4 | 0.8 | 0.4 | -0.5 | -3.4 |
| 2015 | -2.3 | -0.2 | -1.2 | 2.4 | 1.3 | 1.1 | -1.8 | -0.2 | -0.1 | -1.1 | -1.4 | -0.8 | -4.4 |
| 2016 | 0.1 | 1.9 | 0 | -0.1 | -0.9 | -0.6 | -0.4 | -0.2 | 0.6 | -2.7 | 1.1 | -0.7 | -1.9 |
| 2017 | 0.9 | 2.8 | -0.8 | 0.6 | 0.6 | 0.5 | -0.7 | 0.8 | 0.1 | -0.3 | -1.6 | -0.4 | 2.6 |
| 2018 | 1.5 | -1.6 | -0.7 | 0.8 | 1.9 | 0.4 | 0.9 | -0.3 | 0.4 | 0.3 | -1 | -1.4 | 1.2 |
| 2019 | 1.1 | 1.1 | 1.9 | 0.2 | -1.9 | 0.5 | -2.9 | -0.1 | -0.9 | 0.7 | 0.3 | 0.5 | 0.4 |
| 2020 | -1.3 | -3.6 | -0.7 | -0.3 | 0.2 | 0.5 | 0.4 | -0.8 | -0.2 | 1.1 | 1.7 | -1.8 | -5 |
| 2021 | 0.3 | 0.5 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
